Executive Summary
Strategy Overview
Strategy Performance
Strategy Risk Profile
Key Insights
- Strong risk-adjusted returns with Sharpe ratio above 1.0
- Reasonable drawdown control with maximum drawdown under 20%
- Low win rate suggesting need for signal improvement
- Strong positive alpha indicating skill-based returns
Strategy Overview
Strategy Characteristics
Backtest Parameters
Execution Assumptions
Strategy Description
This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs medium frequency (100-1000 trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.
The backtest covers a 3855-day period from 2014-12-31 to 2025-07-21, starting with $100,000 in initial capital. The strategy would have led to a final value of $1,199,970, representing a 1100.0% return over the 3855-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.
Key Performance Metrics - Strategy vs Benchmark
Strategy Performance
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Cumulative Return | 1096.68% | 206.62% |
| Annualized Return | 26.62% | 11.24% |
| Alpha | 26.51% | 0.00% |
| Sharpe Ratio | 1.44 | 0.62 |
| Sortino Ratio | 2.95 | 0.78 |
| Calmar Ratio | 2.15 | 0.35 |
| Beta | -0.2040 | 1.00 |
Strategy Risk Profile
| Metric | Strategy | Benchmark (S&P 500) |
|---|---|---|
| Volatility (Ann.) | 15.90% | 15.87% |
| Max Drawdown | -10.65% | -32.24% |
| Value-at-Risk (95%) | -1.16% | -1.60% |
| Value-at-Risk (99%) | -1.89% | -3.06% |
| Tail Risk | -1.64% | -2.46% |
| Win Rate (Daily) | 49.5% | 56.3% |
| Turnover | 1.86 | N/A |
Period Performance - Strategy vs Benchmark
Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.
| Period | Return (Annualized) | Volatility (Annualized) | ||
|---|---|---|---|---|
| Strategy | Benchmark | Strategy | Benchmark | |
| MTD | 6.58% | 50.78% | 9.36% | 6.99% |
| YTD | 36.73% | 12.65% | 14.93% | 23.62% |
| 1Y | 48.69% | 12.53% | 17.62% | 19.70% |
| 3Y | 24.78% | 17.58% | 15.93% | 16.66% |
| 5Y | 27.03% | 14.39% | 15.68% | 16.55% |
| All Time | 26.55% | 11.22% | 15.90% | 15.87% |
Performance Charts
Cumulative Performance (Base 100) - Strategy vs Benchmark
Performance Overview
Cumulative Drawdown from Peak
Returns Distribution
Risk & Volatility Analysis
Rolling Sharpe Ratio (60-Day Window)
Rolling Beta (60-Day Window)
Correlation & Exposure Analysis
Strategy vs Benchmark Returns Scatter
Portfolio Exposure Over Time
Advanced Risk Metrics
Value-at-Risk Over Time
Trade/Signal Summary
Signal Analysis
| Metric | Value |
|---|---|
| Daily Signal Hit Rate | 49.5% |
| Signals per Month | 20.9 |
| Position Balance | 0.67 |
| Signal Quality | 100.0% |
| Daily Turnover | 0.007 |
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Signal Quality: Percentage of days when market signals aligned with strategy expectations.
Daily Turnover: Average daily change in position sizes.
Trade Execution
| Metric | Value |
|---|---|
| Total Trades Executed | 5300 |
| Win Rate | 49.5% |
| Avg PnL per Trade | 0.0010 (≈$99) |
| Annualized Turnover | 1.9 |
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Notes & Metadata
- Code Version: v2.0.0
- Backtest Parameters:
- Lookback: N/A days
- Universe: 2 assets
- Slippage: N/A (Not implemented)
- Costs: N/A (Not implemented)
- Report Generation Date: 2025-07-23
- Environment: Backtest
Additional Notes
This report was generated using historical data and backtest results.